At the moment I'm using FileZilla to FTP to my website. Sometimes, I want to delete a large directory, full of lots of other sub-directories and files. Filezilla seems to go through them all individually, which means it takes an absolute age to delete!

"Quickly" and "Deleting lots of files" are two things that don't go together well when using an FTP/SFTP client to delete lots of files on a deep directory structure. Anyone who has to maintain a Magento e-commerce website can testify to this.
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Fiasco LabsJul 20 at 5:50

cheat: use winscp in ftp mode. it will convert the simple request and complete all the necessary tasks. it's not an ftp "command line", but it's still ftp and can be used with the same ftp credentials to accomplish the task easily (and as quickly as ftp can accomplish it)